Statistics and Data Science Seminar Vladimir Koltchinskii (Georgia Institute of Technology)
Bias Reduction and Asymptotic Efficiency in Estimation of Smooth Functionals of High-Dimensional Covariance
Abstract: We discuss a recent approach to bias reduction in a problem of estimation of smooth functionals of high-dimensional parameters of statistical models. In particular, this approach has been developed in the case of estimation of functionals of covariance operator Σ : Rd d → Rd of the form f(Σ), B based on n i.i.d.…